Mean-Variance Portfolio Optimization

This project studies the classic mean-variance portfolio optimization problem introduced by Markowitz in 1952. We have developed solution methods for computationally challenging large scale instances and are now also studying the cardinality-constrained version of the problem.

Organisation

The project is funded by the International Science Programme (ISP) at Uppsala University and is carried out in collaboration with Makerere University, Uganda. The following people are involved: PhD student Fred Mayambala, Division of Optimization, Department of Mathematics, Linköping University, Professor Torbjörn Larsson, Division of Optimization, Department of Mathematics, Linköping University (main supervisor), Senior lecturer Elina Rönnberg, Division of Optimization, Department of Mathematics, Linköping University (assistant supervisor), Associate Professor Juma Kasozi, Department of Mathematics, Makerere University (assistant supervisor).

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